Can continuous-time stationary stable processes have discrete linear representations?
We show that a non-trivial continuous-time strictly [alpha]-stable, [alpha][set membership, variant](0,2), stationary process cannot be represented in distribution as a discrete linear processwhere is a collection of deterministic functions and are independent strictly [alpha]-stable random variables. Analogous results hold for self-similar strictly [alpha]-stable processes and for strictly [alpha]-stable processes with stationary increments. As a consequence, the usual wavelet decomposition of Gaussian self-similar processes cannot be extended to the [alpha]-stable, [alpha]<2 case.
Year of publication: |
2003
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Authors: | Pipiras, Vladas ; Taqqu, Murad S. ; Abry, Patrice |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 64.2003, 2, p. 147-157
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Publisher: |
Elsevier |
Keywords: | Stable processes Self-similarity Stationarity Minimal spectral representations Flows Cocycles |
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